Stationary Subspace Analysis

author: Paul von Bunau, TU Berlin
author: Frank C. Meinecke, TU Berlin
author: Klaus-Robert Müller, Department of Software Engineering and Theoretical Computer Science, Technische Universität Berlin
published: Dec. 20, 2008,   recorded: December 2008,   views: 5765
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Description

Non-stationarities are an ubiquitous phenomenon in real-world data, yet they challenge standard Machine Learning methods: if training and test distributions differ we cannot, in principle, gen- eralise from the observed training sample to the test distribution. This affects both supervised and unsupervised learning algorithms. In a classification problem, for instance, we may infer spurious dependen- cies between data and label from the the training sample that are mere artefacts of the non-stationarities. Conversely, identifying the sources of non-stationary behaviour in order to better understand the analyzed system often lies at the heart of a scientific question. To this end, we propose a novel unsupervised paradigm: Stationary Subspace Analysis (SSA). SSA decomposes a multi-variate time-series into a stationary and a non-stationary subspace. We derive an efficient algorithm that hinges on an optimization procedure in the Special Orthogonal Group. By exploiting the Lie group structure of the optimization manifold, we can explicitly factor out the inherent symmetries of the problem and thereby reduce the number of parameters to the exact degrees of freedom. The practical utility of our approach is demonstrated in an application to Brain Computer-Interfacing (BCI).

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